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中文摘要：
2008年爆发的金融危机对国际石油市场的信息传导机制造成了较大冲击。本文将有偏t分布引入石油市场风险模型，通过构造APARCH／TARCH模型计算石油市场在险值（VaR），并采用风险一Granger检验方法考察了金融危机前后国内外代表性原油市场与燃料油市场的风险传导效应。结果显示，国内外石油市场之间的风险溢出关系在金融危机发生后出现了显著的变化。其中，上海燃料油市场在危机后的风险溢出能力得到提升，对新加坡燃油市场具有一定的风险溢出效应；而国内大庆原油市场在危机前后都只能被动地接受国际原油市场风险溢出影响。从两大国际基准原油比较看，WTI虽然继续居于主导地位，但是对Brent的风险溢出效应在危机后有所减弱。
英文摘要：
The 2008 financial crisis has imposed a strong shock on the original information transmission mechanism among oil markets. This paper investigates the risk transmission effects between domestic and international representative oil markets before and after the financial crisis using APARCH/TARCH models based on skewed t distribution as well as risk-Cranger causality test. The empirical results show that the risk spillover relationships among oil markets have changed. Specifically, the risk spillover effect from Shanghai fuel oil market to Singapore market has emerged, indicating the former＇s competiveness has been enhanced after the financial crisis, while Daqing crude oil market has always been a passive risk recipient during both periods. Though WTI continues to play a dominant role in the international crude oil markets, its risk spillover effect to Brent has seemingly weakened after the financial crisis.
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